Maximum likelihood type estimation for discretely observed CIR model with small $\alpha$-stable noises
Probability
2016-10-10 v2
Abstract
A maximum likelihood type estimation of the drift and volatility coefficient parameters in the CIR type model driven by -stable noises is studied when the dispersion parameter and the discrete observations frequency simultaneously.
Keywords
Cite
@article{arxiv.1605.01190,
title = {Maximum likelihood type estimation for discretely observed CIR model with small $\alpha$-stable noises},
author = {Xu Yang},
journal= {arXiv preprint arXiv:1605.01190},
year = {2016}
}